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Insiders-outsiders, transparency and the value of the ticker
Cespa, Giovanni; Foucault, Thierry - 2008
We consider a multi-period rational expectations model in which risk-averse investors differ in their information on … expected utility than outsiders. Yet, information acquisition by one investor exerts a negative externality on other investors …. Thus, investors’ average welfare is maximal when access to price information is rationed. We show that a market for price …
Persistent link: https://www.econbiz.de/10003831244
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Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices
Konchitchki, Yaniv - Volkswirtschaftliche Fakultät, … - 2011
The monetary unit assumption of financial accounting assumes a stable currency (i.e., constant purchasing power over time). Yet, even during periods of low inflation or deflation, nominal financial statements violate this assumption. I posit that, while the effects of inflation are not...
Persistent link: https://www.econbiz.de/10011114513
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A bibliometric analysis of machine learning econometrics in asset pricing
Zapata, Hector O.; Mukhopadhyay, Supratik - In: Journal of Risk and Financial Management 15 (2022) 11, pp. 1-17
Machine learning (ML) is a novel method that has applications in asset pricing and that fits well within the problem of measurement in economics. Unlike econometrics, ML models are not designed for parameter estimation and inference, but similar to econometrics, they address, and may be better...
Persistent link: https://www.econbiz.de/10014332691
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Transition versus physical climate risk pricing in European financial markets : a text-based approach
Bua, Giovanna; Kapp, Daniel; Ramella, Federico; … - 2022
the industry they operate in. We find that firm level information appears to be used as a gauge for transition risk, in …
Persistent link: https://www.econbiz.de/10013271146
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Stock returns predictability and the adaptive market hypothesis in emerging markets: evidence from India
Hiremath, Gourishankar S; Kumari, Jyoti - Volkswirtschaftliche Fakultät, … - 2014
This study addresses the question of whether the adaptive market hypothesis provides a better description of the behaviour of emerging stock market like India. We employed linear and nonlinear methods to evaluate the hypothesis empirically. The linear tests show a cyclical pattern in linear...
Persistent link: https://www.econbiz.de/10011113081
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Do stock returns in India exhibit a mean reverting tendency? Evidence from multiple structural breaks test
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010
This paper re-examines the issue of mean-reversion in Indian equity market. Unlike earlier studies, the present paper carries out multiple structural breaks test and uses new and disaggregated data set. The study found significant structural breaks in the returns series of all selected indices...
Persistent link: https://www.econbiz.de/10011113266
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On the random walk characteristics of stock returns in India
Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2009
An attempt is made in this paper to examine whether stock returns in two premier two exchanges in India namely, Bombay Stock Exchange (BSE), and National Stock Exchange (NSE) follow a random walk. Towards this end, data on major indices during the period 1997 to 2009 are analyzed by using...
Persistent link: https://www.econbiz.de/10011113811
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Instabile Finanzmärkte
Franke, Günter; Krahnen, Jan Pieter - 2009
Aufgabe darin besteht, glaubwürdige Information für Investoren bereitzustellen. Drei Determinanten der Instabilität werden … Eigenkapitalstandards und eine notwendige Risikobegrenzung auf Derivatemärkten. -- Financial Crisis ; Information ; Regulation ; Banking …
Persistent link: https://www.econbiz.de/10003864312
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Can central bank communication help to stabilise inflation expectations?
Jung, Alexander; Kühl, Patrick - 2021
information and news channel. A novelty of the study is its use of data from Google Analytics on ECB website traffic as proxy for … communication on the information demand of the public and ultimately on inflation expectations. Overall, this study shows that …-term professional inflation expectations. Our findings add to the theoretical evidence on the existence of an information and news …
Persistent link: https://www.econbiz.de/10012511097
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INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL.
Ewald, Christian-Oliver; Xiao, Yajun - Volkswirtschaftliche Fakultät, … - 2007
different levels of information. Technically our model represents a stochastic differential game with anticipative strategy sets … of information asymmetry. Furthermore we study in how far the asymmetry in the level of information influences Nash …-equilibria and general welfare. We show that under certain conditions in a competitive environment an increased level of information …
Persistent link: https://www.econbiz.de/10005790283